Roland Gemayel
Nov 13, 2020

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The calculation of the portfolio standard deviation is incorrect. The whole point of portfolio management is that when you combine assets, the risk of the portfolio decreases as long as the correlation among the assets is less than one. This is because the risk of a portfolio of assets is a combination of the variances as well as the covariances among the assets, where the latter may be negative and can reduce the overall riskiness of the portfolio.

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